S&P 500 INDEX: MODEL SPECIFICATIONS & FORECASTS

Last updated: 06-08-2024
Time: 15:36:27

1. Model Specification

Period:55

Specification:
SP500=f(SC, TCI_R, m1, indpro, x_ff, x10_3, PF, cpium)

## OK: residuals appear as normally distributed (p = 0.177).

## OK: Residuals appear to be independent and not autocorrelated (p = 0.336).

## OK: Error variance appears to be homoscedastic (p = 0.824).

## 
##  Bounds F-test (Wald) for no cointegration
## 
## data:  d(SP500) ~ L(SP500, 1) + sc + L(TCI_R, 1) + m1 + L(indpro, 1) +     x_ff + x10_3 + PF + cpium + d(TCI_R) + d(indpro)
## F = 7.1465, p-value = 1e-06
## alternative hypothesis: Possible cointegration
## null values:
##    k    T 
##    8 1000

## # Check for Multicollinearity
## 
## Moderate Correlation
## 
##          Term  VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##         TCI_R 5.94 [ 4.23,   8.55]         2.44      0.17     [0.12, 0.24]
##   L(TCI_R, 1) 5.93 [ 4.22,   8.54]         2.44      0.17     [0.12, 0.24]
##        indpro 9.86 [ 6.89,  14.31]         3.14      0.10     [0.07, 0.15]
##  L(indpro, 1) 6.08 [ 4.33,   8.76]         2.47      0.16     [0.11, 0.23]
## 
## High Correlation
## 
##         Term   VIF      VIF 95% CI Increased SE Tolerance Tolerance 95% CI
##  L(SP500, 1) 43.61 [29.84,  63.94]         6.60      0.02     [0.02, 0.03]
##           sc 13.83 [ 9.59,  20.15]         3.72      0.07     [0.05, 0.10]
##           m1 40.23 [27.54,  58.97]         6.34      0.02     [0.02, 0.04]
##         x_ff 19.05 [13.15,  27.83]         4.36      0.05     [0.04, 0.08]
##        x10_3 12.40 [ 8.63,  18.06]         3.52      0.08     [0.06, 0.12]
##           PF 74.33 [50.73, 109.11]         8.62      0.01     [0.01, 0.02]
##        cpium 14.73 [10.21,  21.48]         3.84      0.07     [0.05, 0.10]

## 
##  OLS-based CUSUM test
## 
## data:  ocus
## S0 = 0.49467, p-value = 0.9673

2. Forecasts

## [1] 0.001073815

## [1] 0.001038109

## [1] 0.7697138